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Nonparametric estimation and testing of stochastic discount factor

Fang, Ying; Ren, Yu; Yuan, Yufei - In: Finance Research Letters 8 (2011) 4, pp. 196-205

This paper attempts to estimate stochastic discount factor (SDF) proxies nonparametrically using the conditional Hansen–Jagannathan distance. Nonparametric estimation can not only avoid misspecification when dealing with nonlinearity in the model but also provide more precise information about...

Persistent link: https://www.econbiz.de/10010599674